New Issue: JPMorgan prices $347,000 semiannual review notes tied to Russell 2000

By Jennifer Chiou

New York, Aug. 18 - JPMorgan Chase & Co. priced $347,000 of 0% semiannual review notes due Aug. 21, 2013 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus 8% per year if the index closes at or above its initial level on Feb. 16, 2012, Aug. 16, 2012, Feb. 15, 2013 or Aug. 16, 2013.

If the notes are not called and the final index level has declined from the initial level by 30% or less, the payout at maturity will be par. Otherwise, investors will lose 1.4286% for every 1% that the index declines beyond 30%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Semiannual review notes
Underlying index:	Russell 2000
Amount:	$347,000
Maturity:	Aug. 21, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	If index falls by up to 30%, par; otherwise, 1.4286% loss for every 1% decline beyond buffer
Call:	Automatically at par plus 8% per year if index closes at or above initial level on Feb. 16, 2012, Aug. 16, 2012, Feb. 15, 2013 or Aug. 16, 2013
Initial index level:	704.76
Pricing date:	Aug. 16
Settlement date:	Aug. 19
Agent:	J.P. Morgan Securities LLC
Fees:	4%, including 1.5% for selling concessions
Cusip:	48125XA22

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